Keywords: primary; 62H12; secondry; 60G10; 60G15; 91G10; Curved statistical model; Dependent data; Higher-order asymptotic theory; Maximum likelihood estimation; Portfolio estimation; Regression model; Shrinkage estimator; Stationary process;
مقالات ISI (ترجمه نشده)
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Keywords: Loss aversion; Optimal portfolio and consumption; Consumption constraints; Martingale method; 91G10;
Keywords: Derivative pricing; Trading constraints; Equal risk price; Short-selling ban; 91G10; 91G20;
Keywords: Regime-switching model; Investment-consumption; Asset-liability management; Hamilton Jacobi Bellman equation; Value-at-Risk; 60J27; 91G10;
Keywords: G11; C61; 91G10; 91B16; 91E20; IE13; IM12; IE43; IE53; IB12; Mean-variance efficiency; Surplus wealth of the family; Income-replacement insurance; Lagrange dual method; Replication of assets; Dynamic programming; Nonlinear HJB equations;
Keywords: G11; G22; G32; C61; 91G10; 91B16; 93E20; 91B30; IE13; IE12; IE43; IB81; IB52; IE53; Assets liabilities management (ALM); Optimal dynamic asset allocation; Mortality risk; Salary risk; Incomplete market; Stochastic dynamic programming; Martingale method;
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Equilibrium control law; Time-consistent strategy; Investment-reinsurance; Partial information; Mean-variance criterion; Regime switching;
Keywords: 91G10; 93E20; 91A10; 60H20; Time inconsistency; Mean-variance; Partial information; Equilibrium strategy; Extended HJB system of equations;
Keywords: C02; D89; G11; 91G10; 91G20; 91B42; Utility maximization; Optimal insurance design; Choquet integral; Distorted probabilities; Monotone Likelihood Ratio;
Keywords: 91B60; 91G10; 91G80Limit order markets; Optimal liquidity provision; Asymptotics
Keywords: Absolute ruin probability; Optimal proportional reinsurance; Optimal investment; Negative correlation; HJB equation; G11; G22; 91B30; 91B70; 91G10; IM13; IB91; IM52; IE53;
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 93E20; IE13; IE12; IM52; IB91; IE53; IE43; Optimal proportional reinsurance strategy; Optimal investment strategy; CRRA utility; Stochastic dynamic programming; Stochastic inflation index; Stochastic interest rat
Keywords: 91G10; 91B30; 90C90; Portfolio choice; Ellipsoidal uncertainty; Lower partial moments; Distributional robustness; Adjustable robustness; Dynamic portfolio rules;
Keywords: C02; G11; G22; 91B30; 91G10; 60G46; 60J25; Risk-minimization; Galtchouk-Kunita-Watanabe decomposition; Benchmark approach; Partial information; Unit-linked life insurance contracts; Markovian jump-diffusion models;
Keywords: 91G10; 91G50; 91G80; Liquidity management; Risk exposure; Singular stochastic control; Stochastic impulse control;
Keywords: C02; C61; G11; G2290C59; 90C30; 91B30; 91G10; 90B50VaR optimization; CVaR sensitivity; Approximation methods; Optimality conditions; Actuarial and financial applications
A stochastic Nash equilibrium portfolio game between two DC pension funds
Keywords: C73; C61; G11; 91A15; 91A30; 91B51; 91G10; IB13; IB81; IE11; Defined contribution pension plan; Stochastic portfolio game; Nash equilibrium; Inflation risk; Dynamic programming method;
A semiparametric factor model for CDO surfaces dynamics
Keywords: C14; C51; G11; G17; 62Gxx; 62H12; 91G10; 62M20; CDO; Curve trade; Dynamic factor model; Semiparametric model; Surfaces dynamics;
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
Keywords: C61; G11; G32; G02; 91B16; 91B30; 91G10; 93E20; IE12; IE13; IE43; IB81; Defined contribution pension plan; Portfolio choice; Stochastic interest rate; Stochastic contribution rate; Loss aversion; Value-at-Risk; Martingale method;
Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
Keywords: G11; C61; 91G10; 91B16; 91B30; IE12; IE13; IB12; IB81; Compulsory conversion claims; DC pension plan; Optimal asset allocation; Optimal benefit outgo; HJB equations;
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Keywords: G11; C61; G32; 91B30; 91B70; 91B16; 91G10; 91G30; IB13; IE12; IE13; IE43; Defined contribution pension plan; Stochastic interest rate; Mean-reverting returns; Stochastic market price of risk; Mean-variance efficiency; Stochastic dynamic programming;
Martingale optimal transport in the Skorokhod space
Keywords: 91G10; 60G44Model-free Hedging; Martingale Optimal Transport; Skorokhod Space
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Keywords: C61; G11; G32; 91G30; 91G10; 93E20; 91B16; 90C39; 91B06; IE53; IE13; IB13; IE12; Defined contribution pension plan; CRRA utility; Stochastic dynamic programming; Stochastic interest rate; Stochastic volatility; Stochastic contribution rate; Minimum guaran
Information, no-arbitrage and completeness for asset price models with a change point
Keywords: 60G40; 60G44; 91B25; 91B70; 91G10; Enlargement of filtration; Martingale representation; Random time; Change point; Regime switching; Arbitrage of the first kind; Free lunch with vanishing risk;
Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
Keywords: G11; C61; G23; E21; E22; 91G10; 93E20; 91B70; 91B30; DC pension plan; Markovian time inconsistent stochastic control; Mean-Variance stochastic control; Optimal asset allocation; Return of premiums clauses;
Asymptotics of the risk concentration based on the tail distortion risk measure
Keywords: 91G10; 91B30; 62E20Asymptotics; Regular variation; Second-order regular variation; Risk concentration; Tail distortion risk measure
Second-order expansions of the risk concentration based on CTE
Keywords: G22; 91G10; 91B30; 62E20; Asymptotical smoothness; Diversification benefit; Regular variation; Second-order approximation; Second-order regular variation;
Portfolio selection through an extremality stochastic order
Keywords: 60E15; 62P05; 91G10; Portfolio selection; Extremality; Upper orthant;
Robust portfolio selection involving options under a “ marginal+joint ” ellipsoidal uncertainty set
Keywords: 91G10; 90B25Robust optimization; Robust portfolio; Probability constraint; Linear matrix inequality
Portfolio separation properties of the skew-elliptical distributions, with generalizations
Keywords: 91G10; 91G80; 60E05; 49K45Portfolio separation; Mutual fund theorem; Stochastic dominance; Skew-elliptical distributions
Portfolio insurance under a risk-measure constraint
Keywords: 91G10; Portfolio insurance; Utility maximization; Convex risk measures; Spectral risk measure; Entropic risk measure;
Asymptotics for risk capital allocations based on Conditional Tail Expectation
Keywords: primary; 91B30; secondary; 91G10; 62H20; 60E05; Asymptotic dependence and independence; Capital allocation; Conditional Tail Expectation; Extreme Value Theory; Heavy-tailed distributions; Value-at-Risk;